Opening Orders - 2009

[thetrendfollowe]

Quote from Don Bright:

FWIW, I generally cancel my opg orders about 3 minutes after the bell (keeps me from being surprised, LOL).

Don [/B]

Good idea.
I would use a limit-on-open order from IB or similar.
If it doesn't trigger at the open, then it cancels itself.

(But then again the method Im working on is not "Opening orders" are per this thread based on Fv, etc, but strictly fading gaps.)

 

[Don Bright]

Quote from thetrendfollowe:

Good idea.
I would use a limit-on-open order from IB or similar.
If it doesn't trigger at the open, then it cancels itself.

(But then again the method Im working on is not "Opening orders" are per this thread based on Fv, etc, but strictly fading gaps.)

Uh, be careful with what you're saying.... Yes, the order will cancel if not filled...but it may be 10 minutes after the bell rings... not at 9:30. Individual stocks open "when they open" no specific time.

And, we only "fade gaps" - not sure what you mean?

Don

 

[thetrendfollowe]

Quote from Don Bright:

Uh, be careful with what you're saying.... Yes, the order will cancel if not filled...but it may be 10 minutes after the bell rings... not at 9:30. Individual stocks open "when they open" no specific time.

And, we only "fade gaps" - not sure what you mean?

Don

Hi Don,

Iv read some of your work on this board and on these opening journals in particular.
Unless you have changed your methods over the years, my understanding was that you work out "fair values" and take into account what the market (futures) are doing.

I don't do any of that. I have a "book" of about 50 tickers and I just long gap downs and close at the end of the day. I also have a maximum stop loss that keeps me out of disasters, which gets hit about 5% of the time.

My method is perhaps more mechanical than yours. But right now Im not even a papertrader when it comes to fading gaps. Just backtesting up till this point. Though out of sample runs have looked the goods. Will start on Sim maybe next quarter (Oct. 1st).

Anyhow, thanks Don and others for your contribution to this topic over the last few years. I've had a good look at some of the threads, alot of valuable discussion therein.

Cheers. Have a good weekend all.

Nizar.

 

[thetrendfollowe]

Quote from Don Bright:

Yes, the order will cancel if not filled...but it may be 10 minutes after the bell rings... not at 9:30. Individual stocks open "when they open" no specific time.

Yes I was aware of that.
Thanks for the explanation/clarification.

 

[mdl060374]

Quote from thetrendfollowe:

Hi Don,

Iv read some of your work on this board and on these opening journals in particular.
Unless you have changed your methods over the years, my understanding was that you work out "fair values" and take into account what the market (futures) are doing.

I don't do any of that. I have a "book" of about 50 tickers and I just long gap downs and close at the end of the day. I also have a maximum stop loss that keeps me out of disasters, which gets hit about 5% of the time.

My method is perhaps more mechanical than yours. But right now Im not even a papertrader when it comes to fading gaps. Just backtesting up till this point. Though out of sample runs have looked the goods. Will start on Sim maybe next quarter (Oct. 1st).

Anyhow, thanks Don and others for your contribution to this topic over the last few years. I've had a good look at some of the threads, alot of valuable discussion therein.

Cheers. Have a good weekend all.

Nizar.

If holding gaps throughout the day is your thing you might want to look at stockfetcher.

Its a easy to learn filter (daily info not intraday) that has a forum section. In the forum section there is a member who posts a statistical scan dealing with what % of the time in the last 100 days a stock has closed the gap when it has gapped.

The idea is their are about 5-10 stocks who have 80%+ closing rates by the closing bell...

Now of course, you have to decide market conditions, entries exits, etc, but those are strong numbers to play with.

I tried to take this a step further in tradestation by figuring out intraday statistics (close by 9:45 etc) but the results were innacurate b/c the opening prints of stocks were erroneous, which skewed my results...

(ie a stock trading 145 shares $1.50 away from where the stock really "opens and is tradable" at 9:29:50...)

 

[thetrendfollowe]

Quote from mdl060374:

The idea is their are about 5-10 stocks who have 80%+ closing rates by the closing bell...

Now of course, you have to decide market conditions, entries exits, etc, but those are strong numbers to play with.

My research shows much the same.

There are actually about a further 30-40 large cap stocks that have a 60-70% hit rate which is not as impressive but still worth trading because they either have (i) significant trade frequency and/or (ii) a fat payoff ratio.

Though of course with these high hit rates its important to protect the downside through stops, though you may have to sacrifice a few points in the win%, its generally well worth it.

Thanks for your thoughts.

 

[trend2009]

Since NYSE and AMEX stocks can be traded on nasdaq. does anyone have experience to send OPG orders for nyse stocks to nasdaq for open cross?

 

[mdl060374]

Quote from thetrendfollowe:

My research shows much the same.

There are actually about a further 30-40 large cap stocks that have a 60-70% hit rate which is not as impressive but still worth trading because they either have (i) significant trade frequency and/or (ii) a fat payoff ratio.

Though of course with these high hit rates its important to protect the downside through stops, though you may have to sacrifice a few points in the win%, its generally well worth it.

Thanks for your thoughts.

Have you found out anyway to get around erroneous prints? My first idea was to basically use a 1 minute VWAP, but I asked around and I dont think Tradestation can do so.

 

[thetrendfollowe]

Quote from mdl060374:

Have you found out anyway to get around erroneous prints? My first idea was to basically use a 1 minute VWAP, but I asked around and I dont think Tradestation can do so.

No.
But forward trading the system realtime using IBs PaperTrader for a year or so should tell me if the system performs to spec.
Im in no hurry.

 

[total_keops]

Quote from thetrendfollowe:

No.
But forward trading the system realtime using IBs PaperTrader for a year or so should tell me if the system performs to spec.
Im in no hurry.

This is if the paper trading fills you at the open, which is contrary to my experience.